Characterization of Iran Stock Market Indices Using Recurrence Plots
Market data analysis in Iran stock market has been considered in this paper. The experimental data are the shares prices from Iran stock market covering a period of 5 years which is long enough to take the properties such as non-stationary of the market into account. The analysis tools are the time series analysis methods such as power spectral density analysis, time series histogram plot, and the recurrence plots. Nonlinear analysis over the shares prices time series for some companies such as Iran Khodro Co, Persian bank and Niro Mohareke Iran is performed. The results indicate a deterministic, un-stationary and seasonal behavior in addition to unstable periodic orbits and even chaotic behavior in these time series. These observations imply just short-term predictability of stocks shares prices behaviors.
Nooshin Bigdeli Mehdi Jafarzadeh Karim Afshar
Electrical Engineering Imam Khomeini International University Qazvin, Iran
国际会议
International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)
武汉
英文
1-5
2011-08-12（万方平台首次上网日期，不代表论文的发表时间）